Theory and applications of long-range dependence
The articles of this volume will be reviewed individually. Indexed articles: \textit{Taqqu, Murad S.}, Fractional Brownian motion and long-range dependence., 5-38 [Zbl 1039.60041] \textit{Molchan, George M.}, Historical comments related to fractional Brownian motion, 39-42 [Zbl 1032.60035] \textit{Doukhan, Paul}, Models, inequalities, and limit theorems for stationary sequences, 43-100 [Zbl 1032.62081] \textit{Ould Haye, Mohamedou; Viano, Marie-Claude}, Limit theorems under seasonal long-memory., 101-110 [Zbl 1033.60028] \textit{Surgailis, D.}, CLTs for polynomials of linear sequences: Diagram formula with illustrations, 111-127 [Zbl 1032.60017] \textit{Surgailis, D.}, Non-CLTs: U-statistics, multinomial formula and approximations of multiple Itô-Wiener integrals., 129-142 [Zbl 1034.60026] \textit{Ho, Hwai-Chung; Hsing, Tailen}, A decomposition for generalized U-statistics of long-memory linear processes., 143-155 [Zbl 1034.60022] \textit{Maejima, Makoto}, Limit theorems for infinite variance sequences., 157-164 [Zbl 1038.60016] \textit{Pipiras, Vladas; Taqqu, Murad S.}, Fractional calculus and its connections to fractional Brownian motion, 165-201 [Zbl 1031.60047] \textit{Decreusefond, Laurent}, Stochastic integration with respect to fractional Brownian motion., 203-226 [Zbl 1033.60065] \textit{Giraitis, L.; Robinson, P. M.}, Parametric estimation under long-range dependence, 229-249 [Zbl 1032.62083] \textit{Moulines, Eric; Soulier, Philippe}, Semiparametric spectral estimation for fractional processes., 251-301 [Zbl 1109.62353] \textit{Doukhan, Paul; Khezour, Abdelali; Lang, Gabriel}, Nonparametric estimation for long-range dependent sequences, 303-311 [Zbl 1029.62035] \textit{Deo, Rohit S.; Hurvich, Clifford M.}, Estimation of long memory in volatility, 313-324 [Zbl 1026.62115] \textit{Kokoszka, Piotr; Leipus, Remigijus}, Detection and estimation of changes in regime, 325-337 [Zbl 1031.62075] \textit{Koul, H. L.; Surgailis, D.}, Robust estimators in regression models with long memory errors, 339-353 [Zbl 1027.62055] \textit{Bhansali, R. J.; Kokoszka, P. S.}, Prediction of long-memory time series., 355-367 [Zbl 1039.62088] \textit{Willinger, Walter; Paxson, Vern; Riedi, Rolf H.; Taqqu, Murad S.}, Long-range dependence and data network traffic., 373-407 [Zbl 1109.60317] \textit{Norros, Ilkka}, Large deviations of queues with long-range dependent input, 409-415 [Zbl 1028.60095] \textit{Henry, Marc; Zaffaroni, Paolo}, The long-range dependence paradigm for macroeconomics and finance, 417-438 [Zbl 1026.62114] \textit{Mikosch, Thomas; Stărică, Cătălin}, Long-range dependence effects and ARCH modeling, 439-459 [Zbl 1026.62113] \textit{Montanari, Alberto}, Long-range dependence in hydrology., 461-472 [Zbl 1037.86002] \textit{Papanicolaou, George C.; Sølna, Knut}, Wavelet based estimation of local Kolmogorov turbulence, 473-505 [Zbl 1032.62089] \textit{Surgailis, D.; Woyczyński, W. A.}, Limit theorems for the Burgers equation initialized by data with long-range dependence., 507-523 [Zbl 1049.60022] \textit{Abry, Patrice; Flandrin, Patrick; Taqqu, Murad S.; Veitch, Darryl}, Self-similarity and long-range dependence through the wavelet lens, 527-556 [Zbl 1029.60028] \textit{Bardet, Jean-Marc; Lang, Gabriel; Oppenheim, Georges; Philippe, Anne; Stoev, Stilian; Taqqu, Murad S.}, Semi-parametric estimation of the long-range dependence parameter: A survey, 557-577 [Zbl 1032.62077] \textit{Bardet, Jean-Marc; Lang, Gabriel; Oppenheim, Georges; Philippe, Anne; Taqqu, Murad S.}, Generators of long-range dependent processes: A survey, 579-623 [Zbl 1031.65010] \textit{Riedi, Rudolf H.}, Multifractal processes., 625-716 [Zbl 1060.28008]
- Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
- Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models
- Visualization and inference based on wavelet coefficients, SiZer and SiNos
- Testing of a sub-hypothesis in linear regression models with long memory errors and deterministic design
- Assessing influence in Gaussian long-memory models
- Memory parameter estimation for long range dependent random fields
- On least squares estimation for long-memory lattice processes
- Asymptotic properties of nonparametric regression for long memory random fields
- Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
- Distribution-free tests for no effect of treatment in heteroscedastic functional data under both weak and long range dependence
- Rank test for heteroscedastic functional data
- A simple test of changes in mean in the possible presence of long-range dependence
- Change-in-mean problem for long memory time series models with applications
- Robust estimation in long-memory processes under additive outliers
- On the relationship between the Hurst exponent, the ratio of the mean square successive difference to the variance, and the number of turning points
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Record length requirement of long-range dependent teletraffic
- Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Domain and range symmetries of operator fractional Brownian fields
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
- On the asymptotic distribution of the Koenker-Bassett estimator for a parameter of the nonlinear model of regression with strongly dependent noise
- Some long-range dependence processes arising from fluctuations of particle systems
- Hausdorff dimension of the graph of the fractional Brownian sheet
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- Wavelet deconvolution in a periodic setting with long-range dependent errors
- Goodness-of-fit tests for long memory moving average marginal density
- Szegő's theorem and its probabilistic descendants
- Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
- Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
- Limit theorems for weighted nonlinear transformations of Gaussian stationary processes with singular spectra
- Scaling limits of linear random fields on \(\mathbb{Z}^2\) with general dependence axis
- Comparing the marginal densities of two strictly stationary linear processes
- Reduction principle for functionals of strong-weak dependent vector random fields
- Mixed fractional risk process
- Recent developments on fractional point processes
- Generalized fractional counting process
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Testing of fractional Brownian motion in a noisy environment
- Stable Lévy motion with inverse Gaussian subordinator
- Generalized Cauchy model of sea level fluctuations with long-range dependence
- Variance change point detection for fractional Brownian motion based on the likelihood ratio test
- Linnik Lévy process and some extensions
- Confidence intervals with higher accuracy for short and long-memory linear processes
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Testing and mapping non-stationarity in animal behavioral processes: a case study on an individual female bean weevil
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Nearest neighbors estimation for long memory functional data
- CEV model equipped with the long-memory
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- A comparison of Hurst exponent estimators in long-range dependent curve time series
- On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data
- Convergence of superpositions of scaled renewal processes with a finite number of different distributions
- Minimum distance lack-of-fit tests under long memory errors
- Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
- Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
- Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process
- An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
- Intermittent process analysis with scattering moments
- Minimum distance estimation of ARFIMA processes
- Testing long memory based on a discretely observed process
- A long range dependence stable process and an infinite variance branching system
- Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
- On inference based on the one-sample sign statistic for long-range dependent data
- Computing functional estimators of spatiotemporal long-range dependence parameters in the spectral-wavelet domain
- Multichannel deconvolution with long-range dependence: a minimax study
- Properties of local-nondeterminism of Gaussian and stable random fields and their applications
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- Intersection local time for two independent fractional Brownian motions
- Semiparametric analysis of long-range dependence in nonlinear regression
- Fourier series approximation of linear fractional stable motion
- Wavelet-based simulation of fractional Brownian motion revisited
- On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
- Extremes of Gaussian processes over an infinite horizon
- Weak convergence of functionals of stationary long memory processes to Rosenblatt-type distributions
- On discriminating between long-range dependence and changes in mean
- Accumulative prediction error and the selection of time series models
- On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
- Tauberian and Abelian theorems for long-range dependent random fields
- A piecewise polynomial trend against long range dependence
- Behaviour of skewness, kurtosis and normality tests in long memory data
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Fractional Lévy processes with an application to long memory moving average processes
- Modelling structural breaks, long memory and stock market volatility: an overview
- Prediction of long memory processes on same-realisation
- Estimation of self-similar Gaussian fields using wavelet transform
- Conditions for singularity for measures generated by two fractional psuedo-diffusion processes
- The Scale Invariant Wigner Spectrum Estimation of Gaussian Locally Self-Similar Processes
- Multifractal analysis based on p-exponents and lacunarity exponents
- Change-point detection with rank statistics in long-memory time-series models
- On the effect of long-range dependence on extreme value copula estimation with fixed marginals
- Divergent perpetuities modulated by regime switches
- Analysis of the double scattering scintillation of waves in random media
- On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
- A unified approach to self-normalized block sampling
- Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence
- Singularity of Subfractional Brownian Motions with Different Hurst Indices
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